# variables
J <- 250; win1 <- seq(1, J)
W <- 250
# Import data
ports <- readRDS("./data/ibov-rps.rds")
mkt <- ports$mkt[-win1]
mkt.ac <- fun.retac(ports$mkt[-win1])
rps.ac <- ports$ac.rps
rpn.ac <- ports$ac.rpn
portnames <- unique(colnames(ports$rps))
n <- length(portnames); n
## [1] 9
## Cumulative Returns for IBOV bwd.10
## Volatility for IBOV bwd.10
## Cumulative Returns for IBOV fwd.10
## Volatility for IBOV fwd.10
## Cumulative Returns for IBOV las.10
## Volatility for IBOV las.10
## Cumulative Returns for IBOV bwd.15
## Volatility for IBOV bwd.15
## Cumulative Returns for IBOV fwd.15
## Volatility for IBOV fwd.15
## Cumulative Returns for IBOV las.15
## Volatility for IBOV las.15
## Cumulative Returns for IBOV bwd.20
## Volatility for IBOV bwd.20
## Cumulative Returns for IBOV fwd.20
## Volatility for IBOV fwd.20
## Cumulative Returns for IBOV las.20
## Volatility for IBOV las.20
J <- 500; win1 <- seq(1, J)
W <- 250
# Import
ports <- readRDS("./data/spy5-rps.rds")
mkt <- ports$mkt[-win1]
mkt.ac <- fun.retac(ports$mkt[-win1])
rps.ac <- ports$ac.rps
rpn.ac <- ports$ac.rpn
portnames <- unique(colnames(ports$rps))
n <- length(portnames); n
## [1] 9
## Cumulative Returns for SP500 bwd.20
## Volatility for SP500 bwd.20
## Cumulative Returns for SP500 fwd.20
## Volatility for SP500 fwd.20
## Cumulative Returns for SP500 las.20
## Volatility for SP500 las.20
## Cumulative Returns for SP500 bwd.30
## Volatility for SP500 bwd.30
## Cumulative Returns for SP500 fwd.30
## Volatility for SP500 fwd.30
## Cumulative Returns for SP500 las.30
## Volatility for SP500 las.30
## Cumulative Returns for SP500 bwd.40
## Volatility for SP500 bwd.40
## Cumulative Returns for SP500 fwd.40
## Volatility for SP500 fwd.40
## Cumulative Returns for SP500 las.40
## Volatility for SP500 las.40